Study: Sell BEL when there is bearish divergence in RSI

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In this study, we evaluate the performance of strategy "Sell BEL when there is bearish divergence in RSI" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: sell BEL at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. buy after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
1-57566.5837162143.244089.9715749.64-5857.43-16224.650.70.53-0.048-1555.85
2-14828437142337.845503.7116791.64-9797.22-33697.350.560.34-0.077-4007.68
3-15989437172045.955048.2814482.35-12285.75-52227.720.410.35-0.072-4321.47
4-11435637162143.246437.8914892.72-10350.57-42079.210.620.47-0.055-3090.7
5-56265.6237191851.357882.9424175.82-11446.75-34079.60.690.73-0.025-1520.69
6-14930237162143.247286.0519597.07-12660.89-38070.820.580.44-0.066-4035.18
7-16973737152240.548173.6620695.97-13288.26-45899.170.620.42-0.068-4587.48
8-13917037172045.958681.8523559.11-14338.08-51299.440.610.51-0.05-3761.35
9-12324337181948.658567.9224344.32-14603.46-45875.710.590.56-0.046-3330.9
10-14759137142337.8411072.8626418.14-13157-39631.960.840.51-0.054-3988.94
Although, strategy looks good but profit factor on day 2 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrnil35.85-20931860105016.6726217.3741847.12-9429.84-17401.612.780.56-0.053-3488.64
atrnil25.2-2447126012482017453.9327898.08-9461.66-17401.611.840.46-0.077-4078.54
atrtrail33.9-19226362144822.5811477.0441847.12-7352.96-14438.991.560.46-0.065-3101.02
atrtrail-14.19-19553662144822.5811243.3161734.08-7352.96-14438.991.530.45-0.06-3153.8
atrtrail23.69-21859962144822.589595.9527898.08-7352.96-14438.991.310.38-0.088-3525.78

In the table above, row 1 shows the best exit criterion. Profit factor is 0.56. This strategy is not profitable and we advice you not to use it.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
BEL Performance, Profit Factor:0.556

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019219 Mar 2019 (-3.58%), 04 Jun 2019 (11.01%)
2017121 Apr 2017 (-2.9%)
2015315 Jan 2015 (-4.44%), 27 Jan 2015 (-4.34%), 05 Aug 2015 (8.7%)
20141011 Apr 2014 (-4.77%), 15 Apr 2014 (-4.74%), 14 May 2014 (-4.5%), 27 May 2014 (-5.66%), 30 May 2014 (-5.23%), 03 Jun 2014 (-4.89%), 11 Jun 2014 (-4.42%), 27 Jun 2014 (-4.39%), 30 Jun 2014 (-4.49%), 10 Dec 2014 (-4.64%)
2013117 May 2013 (-3.32%)
2011218 Apr 2011 (-2.46%), 21 Apr 2011 (7.13%)
2009327 May 2009 (-5.42%), 16 Jun 2009 (-5.95%), 14 Dec 2009 (-2.95%)
2007214 Feb 2007 (-5.61%), 15 Feb 2007 (16.25%)
2006221 Mar 2006 (-4.21%), 24 Mar 2006 (12.11%)
2005201 Mar 2005 (-3.53%), 08 Mar 2005 (10.0%)
2004423 Sep 2004 (-2.86%), 06 Dec 2004 (-3.21%), 21 Dec 2004 (-2.74%), 22 Dec 2004 (8.69%)
20031125 Apr 2003 (-3.84%), 29 Apr 2003 (-3.94%), 07 May 2003 (-3.62%), 14 May 2003 (-3.41%), 26 May 2003 (-4.12%), 10 Jun 2003 (-3.86%), 17 Jun 2003 (-4.03%), 27 Jun 2003 (-3.85%), 03 Jul 2003 (-5.35%), 19 Dec 2003 (-3.87%), 30 Dec 2003 (-3.44%)
2002218 Jan 2002 (-8.7%), 21 Feb 2002 (-7.16%)
2001403 Dec 2001 (-4.88%), 05 Dec 2001 (-5.09%), 06 Dec 2001 (-5.62%), 10 Dec 2001 (16.16%)
2000106 Jan 2000 (-6.48%)
1999627 Feb 1999 (-6.84%), 01 Mar 1999 (-6.41%), 04 Mar 1999 (20.11%), 08 Jul 1999 (-5.3%), 14 Jul 1999 (-5.51%), 23 Jul 1999 (-5.81%)
1998422 Apr 1998 (-5.87%), 30 Apr 1998 (-6.3%), 22 May 1998 (-7.22%), 01 Jun 1998 (20.92%)



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